4 papers
An Optimal Energy Production Problem with Energy Source Switching and Load Following Nuclear Power Plants
Fabio Baschetti, Alessandro Gnoatto, Athena Picarelli
The integration of weather-dependent renewable generation increases the volatility of residual demand and raises the value of dispatchable low-carbon flexibility. This paper studie…
Joint deep calibration of the 4-factor PDV model
Fabio Baschetti, Giacomo Bormetti, Pietro Rossi
Joint calibration to SPX and VIX market data is a delicate task that requires sophisticated modeling and incurs significant computational costs. The latter is especially true when…
Deep calibration with random grids
Fabio Baschetti, Giacomo Bormetti, Pietro Rossi
We propose a neural network-based approach to calibrating stochastic volatility models, which combines the pioneering grid approach by Horvath et al. (2021) with the pointwise two-…
The SINC way: A fast and accurate approach to Fourier pricing
Fabio Baschetti, Giacomo Bormetti, Silvia Romagnoli +1
The goal of this paper is to investigate the method outlined by one of us (PR) in Cherubini et al. (2009) to compute option prices. We name it the SINC approach. While the COS meth…